The Annals of Mathematical Statistics

Bounds on the Moments of Martingales

S. W. Dharmadhikari, V. Fabian, and K. Jogdeo

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Abstract

We prove the following THEOREM. Let $\{S_n, n \geqq 1\}$ be a martingale, $S_0 = 0, X_n = S_n - S_{n-1}, \gamma_{\nu n} = E(|X_n|^\nu)$ and $\beta_{\nu n} = (1/n) \sum^n_{j = 1} \gamma_{\nu j}$. Then for all $\nu\geqq 2$ and $n = 1, 2, \cdots$ \begin{equation*}\tag{1.1}E(|S_n|^\nu) \leqq C_\nu n^{\nu/2}\beta_{\nu n},\end{equation*} where \begin{equation*}\tag{1.2}C_\nu = \lbrack 8(\nu - 1) \max (1, 2^{\nu - 3})\rbrack^\nu.\end{equation*} As shown by Chung ([3], pp. 348-349) an inequality of Marcinkiewicz and Zygmund ([5], p. 87) implies that the theorem holds (possibly with a different value of $C_\nu$) whenever the $X$'s are independent. In the same way the above theorem is implied by the generalization of the Marcinkiewicz-Zygmund result given by Burkholder ([2], Theorem 9). However, our proof is elementary. Although our choice of $C_\nu$ is not the best possible, it is explicit. For the case of independent $X$'s, von Bahr ([6], p. 817) has given a bound for $E(|S_n|^\nu)$ which may sometimes involve powers of $\beta_{\nu n}$ higher than 1. Finally Doob ([4], Chapter V, Section 7) has treated the case when the $X$'s form a Markov chain. After proving some lemmata in Section 2, we give the proof of the theorem in Section 3. The case of exchangeable random variables is dealt with in Section 4.

Article information

Source
Ann. Math. Statist., Volume 39, Number 5 (1968), 1719-1723.

Dates
First available in Project Euclid: 27 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aoms/1177698154

Digital Object Identifier
doi:10.1214/aoms/1177698154

Mathematical Reviews number (MathSciNet)
MR230363

Zentralblatt MATH identifier
0196.19202

JSTOR
links.jstor.org

Citation

Dharmadhikari, S. W.; Fabian, V.; Jogdeo, K. Bounds on the Moments of Martingales. Ann. Math. Statist. 39 (1968), no. 5, 1719--1723. doi:10.1214/aoms/1177698154. https://projecteuclid.org/euclid.aoms/1177698154


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